October 2012
Intermediate to advanced
256 pages
4h 47m
English
Content preview from Option Strategies for Earnings Announcements: A Comprehensive, Empirical AnalysisBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Index
Numbers
10-Q financial reports, 4
75% rule bid-ask spreads, impact on performance, 31-36
A
Absolute Bid-Ask Spread, 24
absolute earnings announcement returns
implied volatility and, 138-140
market capitalization and, 162-164
predicting future returns from historical returns, 151-155
B
bearish directional trades, 17-18, 59
after earnings announcements, 127-130
further expiration dates, 66-67
increased holding period, 67-68
OTM (out-of-the-money) options, 64-66
potential profitability analysis, 69-73
short calls, 61
bid-ask spreads
Absolute Bid-Ask Spread, ...
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